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Details about Eduardo Rossi

E-mail: This e-mail address is bad, please ask Eduardo Rossi to update the entry in the RePEc Author Service or the correct address.
Homepage:https://sites.google.com/unipv.it/edurossi/home
Postal address:Via San Felice 5 27100 Pavia Italy
Workplace:Dipartimento di Scienze Economiche e Aziendali (Department of Economics and Business), Università degli Studi di Pavia (University of Pavia), (more information at EDIRC)

Access statistics for papers by Eduardo Rossi.

Last updated 2019-01-18. Update your information in the RePEc Author Service.

Short-id: pro257


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Working Papers

2018

  1. Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows
    Papers, arXiv.org Downloads View citations (1)
    Also in Working Papers, Joint Research Centre, European Commission (Ispra site) (2016) Downloads

2014

  1. A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  2. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (5)
  3. Indirect inference with time series observed with error
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Applied Econometrics (2018)
  4. Inference on Factor Structures in Heterogeneous Panels
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
    Also in DEM Working Papers Series, University of Pavia, Department of Economics and Management (2012) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2015)
  5. Testing for no factor structures: on the use of average-type and Hausman-type statistics
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (1)
  6. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (12)
    See also Journal Article in Journal of Financial Econometrics (2016)

2012

  1. Estimation of long memory in integrated variance
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (2)

    See also Journal Article in Econometric Reviews (2014)
  2. Independent Factor Autoregressive Conditional Density Model
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2015)
  3. Long memory and Periodicity in Intraday Volatility
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (5)
    See also Journal Article in Journal of Financial Econometrics (2015)

2011

  1. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (5)

2009

  1. A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. Long Memory and Tail dependence in Trading Volume and Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Journal of Empirical Finance (2013)

2008

  1. Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Euro corporate bonds risk factors
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2013)
  3. Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2010)

1995

  1. A multivariate GARCH model for exchange rates volatility
    LIUC Papers in Economics, Cattaneo University (LIUC) Downloads

Journal Articles

2018

  1. Indirect inference with time series observed with error
    Journal of Applied Econometrics, 2018, 33, (6), 874-897 Downloads View citations (1)
    See also Working Paper (2014)

2017

  1. Chasing volatility
    Journal of Econometrics, 2017, 198, (1), 122-145 Downloads

2016

  1. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 Downloads View citations (7)
    See also Working Paper (2014)

2015

  1. Independent Factor Autoregressive Conditional Density Model
    Econometric Reviews, 2015, 34, (5), 594-616 Downloads View citations (3)
    See also Working Paper (2012)
  2. Inference on factor structures in heterogeneous panels
    Journal of Econometrics, 2015, 184, (1), 145-157 Downloads View citations (3)
    See also Working Paper (2014)
  3. Long Memory and Periodicity in Intraday Volatility
    Journal of Financial Econometrics, 2015, 13, (4), 922-961 Downloads View citations (9)
    See also Working Paper (2012)
  4. Testing for no factor structures: On the use of Hausman-type statistics
    Economics Letters, 2015, 130, (C), 66-68 Downloads View citations (1)

2014

  1. Estimation of Long Memory in Integrated Variance
    Econometric Reviews, 2014, 33, (7), 785-814 Downloads View citations (4)
    See also Working Paper (2012)

2013

  1. A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
    Journal of Futures Markets, 2013, 33, (1), 77-102 View citations (11)
  2. EURO CORPORATE BOND RISK FACTORS
    Journal of Applied Econometrics, 2013, 28, (3), 372-391 View citations (10)
    See also Working Paper (2008)
  3. Long memory and tail dependence in trading volume and volatility
    Journal of Empirical Finance, 2013, 22, (C), 94-112 Downloads View citations (12)
    See also Working Paper (2009)

2010

  1. Efficient importance sampling maximum likelihood estimation of stochastic differential equations
    Computational Statistics & Data Analysis, 2010, 54, (11), 2753-2762 Downloads View citations (5)
  2. Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
    Computational Statistics & Data Analysis, 2010, 54, (11), 2786-2800 Downloads View citations (9)
    See also Working Paper (2008)
  3. Univariate GARCH models: a survey (in Russian)
    Quantile, 2010, (8), 1-67 Downloads View citations (2)

2005

  1. Artificial regression testing in the GARCH-in-mean model
    Econometrics Journal, 2005, 8, (3), 306-322 Downloads View citations (1)

2002

  1. Hedging interest rate risk with multivariate GARCH
    Applied Financial Economics, 2002, 12, (4), 241-251 Downloads View citations (6)
 
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